6533b832fe1ef96bd129ac53

RESEARCH PRODUCT

Testing Independence: A New Approach

Jorge BelaireDulce Contreras

subject

Set (abstract data type)Nonlinear systemSimple (abstract algebra)Independence (mathematical logic)EmbeddingMartingale difference sequenceWhite noiseTime seriesAlgorithmMathematics

description

In time series analysis and modelling, testing for independence allows us to determine if the estimated model is correctly specified. In this work, we present a very simple method to test for serial independence, based on the two-dimensional embedding vectors (the so-called “2-histories”), and we analyse the power and size of such a procedure against a wide set of linear and nonlinear alternatives.

yearjournalcountryeditionlanguage
2000-01-01
https://doi.org/10.1007/978-3-642-57652-2_3